COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS

Helmut Lütkepohl

Journal of Time Series Analysis, 1985, vol. 6, issue 1, 35-52

Abstract: Abstract. Various criteria for estimating the order of a vector autoregressive process are compared in a simulation study. For the considered processes Schwarz's BIC criterion chooses the correct autoregressive order most often and leads to the smallest mean squared forecasting error in samples of the size usually available in practice.

Date: 1985
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